Scientific

Math Modeling in Indudustry Team 3

Speaker: 
Apo Sezginer
Date: 
Tue, Aug 5, 2014
Location: 
PIMS, University of British Columbia
Conference: 
IMA-PIMS Math Modeling in Industry Workshop
Abstract: 

Integrated circuits are manufactured by optical projection lithography.  The circuit pattern is etched on a master copy, the photomask.  Light is projected through the photomask and its image is formed on the semiconductor wafer under production.  The image is transferred to the integrated circuit by a photographic process.  On the order of 40 lithography steps are needed to produce an integrated circuit.   Most advanced lithography is performed using the 193 nm ArF excimer wavelength, about three times smaller than the wavelength of visible red light.  Critical dimensions of the circuit pattern are smaller than the wavelength of the projected light.  Sub-wavelength resolution is achieved by optical resolution enhancement techniques and the non-linearity of the chemistry. 

Calculating the optical image accurately and rapidly is required for two reasons: first the design of the photomask is an inverse problem.  A good forward solution is needed to solve the inverse problem iteratively.  Second, the photomask is inspected by a microscope to find manufacturing defects.  The correct microscope image is calculated, and the actual microscope image is compared to the calculated reference image to find defects.  The most significant part of the image calculation is the diffraction of the illuminating wave by the photomask.  Although rigorous solution of Maxwell's Equations by numerical methods is well known, either the speed or the accuracy of known methods is not satisfactory.  The most commonly used method is Kirchhoff approximation amended by some fudge factors to make it closer to the rigorous solution. 

Kirchhoff solved the problem diffraction of light through an arbitrarily shaped aperture in an opaque screen at the end of 19th century.  He had a very practical approximation for the near-field of the screen, on the side that is opposite to the light source.  At a point on the screen, he ignored that there is an aperture.  At a point at the aperture, he ignored that there is a screen.  He used Green's theorem to propagate this estimate of the near-field to the far-field.  Kirchhoff’s near-field approximation is accurate for points that are a few wave-lengths away from the edges.   The Kirchhoff near-field is discontinuous at the edges and it violates boundary conditions for Maxwell’s Equations.  To this day an amended form of Kirchhoff’s approximation provides the best known accuracy-speed trade-off to calculate the image of a photomask.

The Goal of this Project

We will attempt to improve the accuracy of the Kirchhoff’s approximation.  We will cast Maxwell’s Equations into a linear matrix equation Ax=b where x is a vector of electric and magnetic field values.  This can be done either using finite differences or using a weak (integral) form of Maxwell’s Equations.  We will initialize the vector x with the Kirchhoff solution.  We will use an iterative linear equation solver such as GMRES.  The goal is to improve the solution in very few iterations.

Class: 

Intermediary Leverage Cycles and Financial Stability

Author: 
Tobias Adrian
Date: 
Wed, Jul 30, 2014
Location: 
PIMS, University of British Columbia
Conference: 
PIMS Workshop on the Economics and Mathematics of Systemic Risk
Abstract: 

We present a theory of financial intermediary leverage cycles within a dynamic model of the macroeconomy. Intermediaries face risk-based funding constraints that give rise to procyclical leverage and a procyclical share of intermediated credit. The pricing of risk varies as a function of intermediary leverage, and asset return exposure to intermediary leverage shocks earns a positive risk premium. Relative to an economy with constant leverage, financial intermediaries generate higher consumption growth and lower consumption volatility in normal times, at the cost of endogenous systemic financial risk. The severity of systemic crisis depends on intermediaries’ leverage and net worth. Regulations that tighten funding constraints affect the systemic risk-return trade-off by lowering the likelihood of systemic crises at the cost of higher pricing of risk. (Joint work with Nina Boyarchenko - FRBNY)

Class: 

Risk Sharing in Over-the-Counter Markets 1

Speaker: 
Darrel Duffie
Date: 
Wed, Jul 23, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 
I will begin with an overview of the purpose and structure of OTC markets, and how they can be a source of systemic risk.
This will be followed by a brief review of search-based theories of trade and information sharing in OTC markets. Then I will turn to theories and evidence regarding the use of collateral, the role of central clearing, and failure management. The failure management topic will finish with a model of the efficient application of legal stays that could be imposed on OTC contracts at the point of bankruptcy or administrative failure resolution. These stays can yield effective payment or settlement priority to OTC contracts. Stays can be efficient, or not efficient, depending on the setting. The affected OTC contracts include derivatives, repurchase agreements, securities lending agreements, and clearing agreements. I assume a basic knowledge of game theory and of measure-theoretic probability theory, particularly counting processes with an intensity.
Class: 

Financial Stability 2

Speaker: 
Jean-Charles Rochet
Date: 
Tue, Jul 22, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 
Capital Regulation and Credit cycles: Rationale for solvency regulations: micro VS macro-prudential. Will Basel III be sufficient? Countercyclical Capital buffers
  • Admati et al.(2011) “Why bank capital is not expensive"
  • Gersbach and Rochet (2013) "Capital Regulation and Credit Fluctuations”.
Class: 

Contingent Capital and FInancial Networks 2

Speaker: 
Paul Glasserman
Date: 
Tue, Jul 22, 2014 to Wed, Jul 23, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

These lectures will cover two topics. The first is contingent capital in the form of debt that converts to equity when a bank 
nears financial distress. These instruments offer a potential solution to the problem of banks that are too big to fail by 
providing a credible alternative to a government bail-out. Their properties are, however, complex. I will discuss models for the analysis of contingent capital with particular emphasis on their incentive effects and the design of the conversion trigger. The second topic in these lectures is the problem of quantifying contagion and amplification in financial networks. In particular, I will focus on bounding the potential impact of network effects under the realistic condition that detailed information on the structure of the network is unavailable

Class: 

Diffusion Models for Systemic Risk 3

Speaker: 
Jean-Pierre Fouque
Date: 
Tue, Jul 22, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the Mean Field Game approach.

Class: 

Diffusion Models for Systemic Risk 2

Speaker: 
Jean-Pierre Fouque
Date: 
Tue, Jul 22, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the Mean Field Game approach.

Class: 

Khovanov homology

Author: 
Robin Koytcheff
Janis Lazovskis
Date: 
Thu, Jul 10, 2014
Location: 
PIMS, University of British Columbia
Conference: 
2014 West Coast Algebraic Topology Summer School
Abstract: 

Lecture notes on Khovanov homology.

Class: 

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